Zur Kurzanzeige

2006-01-25Buch DOI: 10.18452/3717
Local Risk-Minimization under Transaction Costs
dc.contributor.authorLamberton, Damien
dc.contributor.authorPham, Huyên
dc.contributor.authorSchweizer, Martin
dc.date.accessioned2017-06-15T21:53:56Z
dc.date.available2017-06-15T21:53:56Z
dc.date.created2006-01-25
dc.date.issued2006-01-25
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4369
dc.description.abstractWe propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy inclusive of transaction costs for every square-integrable contingent claim. Then we show that local riskminimization is robust under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction costs in a model with bid-ask spreads on the underlying asset is also locally risk-minimizing without transaction costs in a fictitious model which is frictionless and where the fictitious asset price lies between the bid and ask price processes of the original model. In particular, our results apply to any nondegenerate model with a finite state space if the transaction cost parameter is sufficiently small.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectoption pricingeng
dc.subjecthedgingeng
dc.subjecttransaction costseng
dc.subjectlocally risk-minimizing strategieseng
dc.subjectmean-variance tradeoffeng
dc.subject.ddc330 Wirtschaft
dc.titleLocal Risk-Minimization under Transaction Costs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056588
dc.identifier.doihttp://dx.doi.org/10.18452/3717
dc.subject.dnb17 Wirtschaft
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1998
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1998,18

Zur Kurzanzeige